The issue is that the web page uses JavaScript to interact with the signed Java applet which is causing this error.
There's not much we can do about it I'm afraid, and whether this warning appears largely depends on the version of Java that you have.
If you go to Start > Control Panel > Java and then click on the Advanced tab you can choose which warnings/messages appear.
The setting "Mixed code (sandboxed vs. trusted) security verification" I believe is the one you need to change.